Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0642 |
| Annualized Std Dev | 0.3926 |
| Annualized Sharpe (Rf=0%) | 0.1635 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3499.0000 |
| NAs | 1.0000 |
| Minimum | -0.1974 |
| Quartile 1 | -0.0101 |
| Median | 0.0013 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0123 |
| Maximum | 0.2616 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0014 |
| Variance | 0.0006 |
| Stdev | 0.0247 |
| Skewness | 0.1675 |
| Kurtosis | 12.7087 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0178 |
| Gain Deviation | 0.0178 |
| Loss Deviation | 0.0193 |
| Downside Deviation (MAR=210%) | 0.0218 |
| Downside Deviation (Rf=0%) | 0.0175 |
| Downside Deviation (0%) | 0.0175 |
| Maximum Drawdown | 0.7948 |
| Historical VaR (95%) | -0.0351 |
| Historical ES (95%) | -0.0598 |
| Modified VaR (95%) | -0.0326 |
| Modified ES (95%) | -0.0326 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-22 | 2009-03-09 | 2014-10-24 | -0.7948 | 1851 | 453 | 1398 |
| 2020-02-19 | 2020-03-23 | NA | -0.6267 | 275 | 24 | NA |
| 2015-01-30 | 2015-09-04 | 2016-03-17 | -0.3181 | 278 | 151 | 127 |
| 2017-11-15 | 2018-02-08 | 2018-12-10 | -0.2730 | 252 | 57 | 195 |
| 2016-07-07 | 2016-11-14 | 2017-05-25 | -0.2492 | 218 | 92 | 126 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.7 | -0.9 | 2.1 | -1.2 | 0.3 | 5.6 | 1.2 | 2.5 | -3.4 | -0.1 | -2 | 4.6 |
| 2008 | 3.5 | -5.4 | 5.8 | 1.1 | 0.1 | 1 | -4.1 | -3.5 | -0.7 | -2.9 | -13.2 | 4.5 | -14.3 |
| 2009 | -4.4 | -2.9 | 0.8 | 4.3 | 7.5 | 3.1 | -1.5 | -1.5 | -3.5 | -4 | 3.7 | -3 | -2.3 |
| 2010 | 0.6 | 2.3 | 1.6 | 1.2 | -5.6 | -0.5 | -1 | 5.2 | 1.5 | -2.3 | 2.5 | -0.3 | 4.8 |
| 2011 | 1.8 | -1.3 | 1.2 | 0.5 | -1.4 | 2.6 | -0.4 | -1.1 | -1.6 | -4.8 | -0.5 | -1.2 | -6.2 |
| 2012 | 1.2 | 0 | 0.8 | 1.1 | -1.7 | 1.8 | -1.1 | -0.6 | -0.5 | -1.9 | 2.2 | 0.5 | 1.6 |
| 2013 | 0.9 | -0.2 | 0.4 | -2.2 | -0.6 | -1.1 | 0.5 | -1.5 | 0.4 | 1.6 | -0.7 | 0.4 | -2.1 |
| 2014 | 1.2 | 0.5 | -1 | 0.5 | 0.9 | -1.6 | 0.5 | 1.4 | -1.2 | 0.8 | 0.2 | -3.5 | -1.3 |
| 2015 | -4.3 | 0 | 0.1 | 1.9 | 0.5 | 0.4 | 2.2 | -5.5 | -2.5 | 0.4 | 0.4 | -1.4 | -7.8 |
| 2016 | 3.5 | -1.8 | 1.1 | 0.8 | 1.6 | -0.1 | 0 | 0 | 0.2 | -4.6 | -4.2 | -1.5 | -5.2 |
| 2017 | -3.1 | -2.2 | -1 | -0.9 | 0 | -0.7 | 1.4 | -0.6 | -0.2 | -1.2 | -0.2 | -0.2 | -8.7 |
| 2018 | -2.1 | -0.2 | 1.1 | -0.3 | -2.6 | -0.3 | -2.3 | -0.6 | -0.7 | -2 | 3.3 | 0.2 | -6.3 |
| 2019 | -1.2 | 0.2 | -1.3 | -2.1 | 1 | -0.7 | 1.8 | 0.6 | -0.8 | -0.3 | -0.4 | 1.1 | -2 |
| 2020 | -0.8 | -8.5 | -11.9 | -5.9 | 2.4 | 4.3 | 0.1 | -2.7 | 1.4 | -2.5 | 1.6 | 3 | -18.8 |
| 2021 | 0.9 | 3.6 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 23.6 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 24.0 SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 24.1 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-07 24.9 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 25.1 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 25.1 SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
